Backtesting of .Aluminium (Kasse) - ZigZag 2 (Aluminium)

Call System

Scan time: 2012-07-30 20:46:31

Main Statistical Values - Table
Temporary Intra Trade Statistical Values - Table
Cummulative Return - Timeseries
Cummulative Return (from Trade to Trade) - Series
Cummulative Return (from Day to Day im Market) - Series
Return - Distribution
Intra Trade Return - Distribution
Trade Durations - Distribution
Return versus Trade Duration - Scatter
Every Trade - Series
Every Trade Reverse - Series
Pseude Average Trade - Series
Temporary Maximal Wins and Losses - Distribution
Temporary Maximal Wins and Loss versus Return - Scatter
Executed Trades - Table

Main Statistical Values - Table

11/0.Aluminium (Kasse)ZigZag 2Aluminium
Years6.4Start22.02.2006End27.07.2012
TRADESCount#11Yearly#1.7Every213. day
HITSRatio63.64%Wins#7Losses#4
PERFORMProfitf.4.914WinSum68.514LossSum-13.944
Efficiency66.99%AvWin9.788LossAv-3.486
RETURNSum54.570Yearly8.473Daily0.023
Average4.961AvAbs7.41Kurtosis1.73
Median7.464MaxWin16.042MaxLoss-5.165
StdDev6.91Excess-1.271/Prof.0.20
INVTIMEDays16.5%Year16.4%267 of1616
FULLYear51.629
LENGTHAverage24.3StdDev17.01Median19.0
EOD-signals and all returns in [%] relative to buy price.

Temporary Intra Trade Statistical Values - Table

Temporary Returns
HitsRatio63.4%Wins168Losses97
AverageDiff.2.99Wins6.57Losses-3.13
SumProftf.3.6Wins1103.0Losses-303.5
SqrSumProfitf.9.6Wins14417.8Losses1496.2
Extremal Temporary Returns
AverageDiff.4.6Wins8.06Losses-3.45
SumProftf.2.3Wins88.61Losses-37.99

Cummulative Return - Timeseries

Cummulative Return (from Trade to Trade) - Series

Cummulative Return (from Day to Day im Market) - Series

Return - Distribution

Intra Trade Return - Distribution

Trade Durations - Distribution

Return versus Trade Duration - Scatter

Every Trade - Series

Every Trade Reverse - Series

Pseude Average Trade - Series

Temporary Maximal Wins and Losses - Distribution

Temporary Maximal Wins and Loss versus Return - Scatter

Executed Trades - Table

NoDirec.#Buy atBuy forSell atSell forReturnReturn%DaysTemp.Win%Temp.Loss%Yearly%Cum.Win%
1Long123.02.20062359.526.05.20062738378.50016.0426333.503-0.80564.216.042
2Long130.06.20062551.527.07.20062452-99.500-3.900191.509-4.174-52.612.142
3Long127.11.2006265315.12.20062869216.0008.142148.745-0.038164.820.284
4Long120.03.2007282505.04.20072810-15.000-0.531120.000-4.071-12.119.753
5Long110.01.2008244230.01.20082601.25159.2506.521146.644-3.133118.826.274
6Long102.06.20091437.2508.06.20091590152.75010.628310.6280.000645.236.902
7Long109.09.2009185817.11.20092011.5153.5008.262498.262-5.53043.645.163
8Long117.02.20102088.508.04.20102327.75239.25011.4563411.755-1.71285.256.619
9Long124.05.20102052.514.06.20101963.25-89.250-4.348140.000-10.609-75.452.271
10Long103.12.2010230104.01.20112472.75171.7507.464197.464-0.69585.059.735
11Long131.05.20112662.2506.07.20112524.75-137.500-5.165260.103-7.221-52.354.570

Generated 30.07.2012 20:46:48